I'd like to include the graph in a paper along with the legend. Is there an easy way to include the legend in the same PS file or to create a separate PS file for the legend?
Sorry this is not supported at this time. However, it is possible to copy & paste the legend into another word processing software for further manipulation. Here's one way to accomplish this.
To select the text of legend click in the legend window and press Ctrl+A. Then press Ctrl+C to copy selection. Switch to another application and there press Ctrl+P to paste (or use the application's menu to achieve the same).